FRTB Markit Modellability Model: preliminary results

Register below to receive preliminary results from the Markit Modellability Model (M3), a rigorous methodology developed by IHS Markit and Oliver Wyman to assess the modellability of risk factors under the Fundamental Review of the Trading Book (FRTB).

Rates and credit data from the MarkitSERV confirmation/affirmation platform was used in the study to explore the impact of the FRTB modellability requirements. This paper includes analysis of the results and an explanation of the M3 methodology, which is available as part of our FRTB Modellability Service.